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1 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Friday, January 04, 2019 To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to and subscribe to the Performance Bond Rates Advisory Notice listserver. As per the normal review of market volatility to ensure adequate collateral coverage, the Chicago Mercantile Exchange Inc., Clearing House Risk Management staff approved the performance bond requirements for the following products listed below. The rates will be effective after the close of business on Monday, January 07, rates as of: Friday, January 04, In this current advisory there are changes to the Short Option Minimum and/or the Volatility Scan Range. Below are descriptions of what each change affects: The Short Option Minimum (SOM) is a charge that is applied only to portfolios concentrated in short options that do not generate a minimum margin requirement level when margins are calculated using the normal 16 SPAN scenarios. The SOM charge per short calls or short puts is a percentage of the outright margin on one underlying futures contract. The volatility scan range is the change in implied volatility that is used in each of SPAN s 16 scenarios.
2 FREIGHT ROUTE LIQUID PETROLEUM GAS () FREIGHT - Spec Mth 1 Increase USD 3,960 3,600 4,785 4,350 Hedge/Member Mth 1 Increase USD 3,600 3,600 4,350 4,350 Spec Mths 2 Increase USD 3,135 2,850 3,795 3,450 Hedge/Member Mths 2 Increase USD 2,850 2,850 3,450 3,450 Spec Mnths 3-5 Increase USD 2,420 2,200 3,080 2,800 Hedge/Member Mnths 3-5 Increase USD 2,200 2,200 2,800 2,800 Spec Months 6+ Increase USD 2,420 2,200 3,080 2,800 Hedge/Member Months 6+ Increase USD 2,200 2,200 2,800 2,800 FREIGHT ROUTE TC14 (BALTIC) FUTURES () Spec Mnth 1 Increase USD 3,850 3,500 4,620 4,200 Hedge/Member Mnth 1 Increase USD 3,500 3,500 4,200 4,200 Spec Mnths 2 Increase USD 2,640 2,400 3,190 2,900 Hedge/Member Mnths 2 Increase USD 2,400 2,400 2,900 2,900 Spec Mnths 3+ Increase USD 1,430 1,300 1,705 1,550 Hedge/Member Mnths 3+ Increase USD 1,300 1,300 1,550 1,550 FREIGHT ROUTE TC15 (BALTIC) FUTURES (T5C) T5C T5C Spec Mths 2 Increase USD 2,200 2,000 2,860 2,600 Hedge/Member Mths 2 Increase USD 2,000 2,000 2,600 2,600 FREIGHT ROUTE (BALTIC) FUTURES () Spec Mth 1 Increase USD 1,760 1,600 2,200 2,000 Hedge/Member Mth 1 Increase USD 1,600 1,600 2,000 2,000 Spec Mths 2 Increase USD 1,650 1,500 1,980 1,800 Hedge/Member Mths 2 Increase USD 1,500 1,500 1,800 1,800 Spec Mnths 3-5 Increase USD 1,650 1,500 1,925 1,750 Hedge/Member Mnths 3-5 Increase USD 1,500 1,500 1,750 1,750 Spec Months 6+ Increase USD 1,650 1,500 1,925 1,750 Hedge/Member Months 6+ Increase USD 1,500 1,500 1,750 1,750 FREIGHT ROUTE TD3C FUTURES () Spec Mnth 1 Increase USD 1,320 1,200 1,595 1,450 Hedge/Member Mnth 1 Increase USD 1,200 1,200 1,450 1,450 Spec Mnth 2 Increase USD 1,155 1,050 1,375 1,250 Hedge/Member Mnth 2 Increase USD 1,050 1,050 1,250 1,250 Spec Mnths 3-6 Increase USD ,210 1,100 Hedge/Member Mnths 3-6 Increase USD ,100 1,100 FREIGHT ROUTE TD8 (BALTIC) FUTURES (TD8) Page 2 of 6
3 TD8 TD8 Spec Mths 2 Increase USD ,100 1,000 Hedge/Member Mths 2 Increase USD ,000 1,000 TC2 ROTTERDAM TO USAC 37K MT (TM) TM TM Spec Mnth 1 Increase USD 3,465 3,150 4,070 3,700 Hedge/Member Mnth 1 Increase USD 3,150 3,150 3,700 3,700 TC5 RAS TANURA TO YOKOHAMA 55K MT () Spec Mth 1 Increase USD 1,650 1,500 2,200 2,000 Hedge/Member Mth 1 Increase USD 1,500 1,500 2,000 2,000 Spec Mths 2+ Increase USD 1,650 1,500 1,980 1,800 Hedge/Member Mths 2+ Increase USD 1,500 1,500 1,800 1,800 TD7 NOR SEA TO CONTINENT 80K MT (TK) TK TK Spec Mnth 1 Increase USD ,210 1,100 Hedge/Member Mnth 1 Increase USD ,100 1,100 Page 3 of 6
4 INTEREST RATES - 10-YEAR ERIS SWAP FUTURES (LIY) LIY LIY Spec Months 21+ Increase USD 1,650 1,500 Hedge/Member Months 21+ Increase USD 1,500 1,500 2-YEAR ERIS SWAP FUTURE (LIT) LIT LIT Spec Months 9+ Increase USD Hedge/Member Months 9+ Increase USD YEAR ERIS SWAP FUTURES () Spec Months 9-12 Increase USD Hedge/Member Months 9-12 Increase USD Spec Months 13+ Increase USD Hedge/Member Months 13+ Increase USD YEAR ERIS SWAP FUTURES (LID) LID LID Spec Months 9+ Increase USD Hedge/Member Months 9+ Increase USD YEAR ERIS SWAP FUTURES () Spec Months 9-15 Increase USD Hedge/Member Months 9-15 Increase USD Spec Months 16+ Increase USD Hedge/Member Months 16+ Increase USD ONE-MON SOFR FUTURES () Spec Month 5 Increase USD Hedge/Member Month 5 Increase USD Spec Month 6 Increase USD Hedge/Member Month 6 Increase USD Spec Month 7 Increase USD Hedge/Member Month 7 Increase USD Page 4 of 6
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6 REE-MON SOFR FUTURES () Spec Month 1 Increase USD Hedge/Member Month 1 Increase USD Spec Month 2 Increase USD Hedge/Member Month 2 Increase USD Spec Month 3 Increase USD Hedge/Member Month 3 Increase USD Spec Months 4-5 Increase USD Hedge/Member Months 4-5 Increase USD Spec Months 6-8 Increase USD Hedge/Member Months 6-8 Increase USD Spec Months 9-12 Increase USD Hedge/Member Months 9-12 Increase USD Spec Months Increase USD Hedge/Member Months Increase USD Spec Months 17+ Increase USD Hedge/Member Months 17+ Increase USD Page 5 of 6
7 Intra Spreads EQUITY INDEX - Intra Spreads E-Mini S&P Midcap 400 (MD) - Months 1 vs 2 (BTIC E-MINI S&P MIDCAP 400 FUT) EMT EMT Spec Increase USD Hedge/Member Increase USD E-Mini S&P Midcap 400 (MD) - Months 1 vs 2 (EMINI MIDCAP FUTURES) ME ME Spec Increase USD Hedge/Member Increase USD E-Mini S&P Midcap 400 (MD) - Months 1 vs 2 (E-MINI S&P MIDCAP 400 SYNT MARKER) ETT ETT Spec Increase USD Hedge/Member Increase USD Inter-commodity Spread Rates Ratio EQUITY INDEX - Inter-commodity Spread Rates EMINI SP500-TECHNOLOGY SECTOR INDEX (XAK) vs S&P 500 FUTURES (SP) Spread Credit Rate Decrease +15:-1 65% 65% 60% 60% INTEREST RATES - Inter-commodity Spread Rates 10 Year Treasury Note (21) vs. Fed Funds (41) Tier 1 (Month 1) Spread Credit Rate Decrease +1:-2 35% 35% 30% 30% 10 Year Treasury Note (21) vs. Fed Funds (41) Tier 2 (Months 2-4) Spread Credit Rate Decrease +1:-2 40% 40% 35% 35% 5 Year Treasury Note (25) vs. Fed Funds (CBOT) (41) Tier 4 (Months 13-24) Spread Credit Rate Decrease +2:-3 75% 75% 70% 70% 5 Year Treasury Note (25) vs. Fed Funds (CBOT) (41) Tier 5 (Months 25+) Spread Credit Rate Decrease +2:-3 75% 75% 70% 70% Page 6 of 6
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
15-103 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, April 09, 2015 To receive advanced
The rates will be effective after the close of business on Friday, March 09, 2012.
12-106 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Friday, March 09, 2012 To receive advanced
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18-071 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements TE: Thursday, February 15, 2018 To receive advanced
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TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Friday, June 16, 2017 To receive advanced notification
Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers TO: FROM: CME Clearing SUBJECT:
16-247 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Friday, June 24, 2016 To receive advanced
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TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Tuesday, February 06, 2018 To receive advanced notification
The rates will be effective after the close of business on Saturday, January 22, 2011.
11-22 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements: DATE: Thursday, January 20, 2011 To receive advanced
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18-362 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Tuesday, September 11, 2018 To receive advanced
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18-431 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Tuesday, October 30, 2018 To receive advanced
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17-355 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements TE: Thursday, September 14, 2017 To receive advanced
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TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Wednesday, May 31, 2017 To receive advanced notification
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17-399 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, October 12, 2017 To receive advanced
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ADV: TO: CH ADV 16-237 Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Monday, June 20, 2016 To receive
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16-052 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Wednesday, January 27, 2016 To receive advanced
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CH-ADV-17-454 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Monday, November 27, 2017 To receive
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17-423 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, November 09, 2017 To receive advanced
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17-503 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Wednesday, December 20, 2017 To receive advanced
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TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, October 11, 2018 To receive advanced notification
The rates will be effective after the close of business on Friday, December 17, 2010.
10-507 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements: DATE: Thursday, December 16, 2010 To receive advanced
TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing. Performance Bond Requirements
11-407 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Wednesday, November 09, 2011 To receive advanced
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16-092 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, February 25, 2016 To receive advanced
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17-474 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, December 07, 2017 To receive advanced
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TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, March 29, 2018 To receive advanced notification
TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers. CME Clearing FROM: SUBJECT:
10-415 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements: DATE: Thursday, September 30, 2010 To receive advanced
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14-348 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, September 04, 2014 To receive advanced
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TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, February 09, 2017 To receive advanced notification
TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing. Performance Bond Requirements
15-030 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, January 29, 2015 To receive advanced
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#17-511 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, December 21, 2017 To receive advanced
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09-267 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements: DATE: Monday, June 22, 2009 To receive advanced
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TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: C Clearing SUBJECT: CH Adv 15-221: Performance Bond Requirements DATE: Thursday, July 30, 2015 To receive advanced
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CH Advisory 15-439 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, December 17, 2015 To
UPDATED: Performance Bond Requirements
10-100 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: UPDATED: Performance Bond Requirements DATE: Tuesday, March 09, 2010 To receive
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14-494 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Friday, December 19, 2014 To receive advanced
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10-241 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements: DATE: Friday, June 04, 2010 To receive advanced
SUBJECT: Performance Bond Requirements Effective Wednesday, September 24 th, 2008
TO: FROM: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers CME Clearing SUBJECT: Performance Bond Requirements Effective Wednesday, September 24 th, 2008 DATE: To receive
NYMEX and Margining Closely Related Physically-Delivered and Financially-Settled products in SPAN. Table of Contents. Introduction...
TO: FROM: Clearing Member Firms CME Clearing SPAN ADVISORY#: 09-01 DATE: Friday, May 1 st, 2009 SUBJECT: NYMEX and Margining Closely Related Physically-Delivered and Financially-Settled products in SPAN
Margin Methodology. Margin Overview. There are two main elements to the overall margin liability. Initial Margin. Variation Margin
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To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
11-96 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements: DATE: Thursday, March 17, 2011 To receive advanced
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TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing. Performance Bond Requirements
12-362 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, August 23, 2012 To receive advanced
Special Executive Report
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To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
14-007 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Wednesday, January 08, 2014 To receive advanced
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